Setups for July 15
Volatility plays: SLP, WFC, ERIC
Three setups on the table today: two straddles and one strangle.
All opened ahead of earnings, with plans to close after the post-earnings move tomorrow.
SLP — Straddle
Earnings: 14 Jul AMC
Strikes: 17.5 CALL × 2, 17.5 PUT × 2
Total premium: $440
Expected move: 9.88 %
Max risk: $440
Target profit: $50
IV: CALL — 148, PUT — 140
OI: CALL — 106, PUT — 207
Delta: CALL — 0.33, PUT — -0.67
Pure at-the-money straddle with rich IV. Not cheap, but the expected move justifies the entry. Watching for a strong gap post-earnings.
WFC — Strangle
Earnings: 15 Jul BMO
Strikes: 86 CALL × 3, 79 PUT × 3
Total premium: $369
Expected move: 4.28 %
Max risk: $369
Target profit: $200
IV: CALL — 86, PUT — 79
OI: CALL — 2,100, PUT — 937
Delta: CALL — 0.00, PUT — 0.03
Plenty of open interest and volume. Strikes are positioned wide, so a decent move is needed. Risk defined, reward meaningful if we get momentum.
ERIC — Straddle
Earnings: 15 Jul BMO
Strikes: 8 CALL × 3, 8 PUT × 3
Total premium: $180
Expected move: 5.65 %
Max risk: $180
Target profit: $50
IV: CALL — 93, PUT — 87
OI: CALL — 390, PUT — 741
Delta: CALL — 0.46, PUT — -0.54
Simple, clean setup. Cheap straddle, tight delta spread, high enough IV to justify a pre-earnings bet.
I'll review and log the outcomes tomorrow once the trades are closed.
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